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bbgo: add activated flag on trailing stop order

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This commit is contained in:
c9s 2022-02-01 00:41:28 +08:00
parent c7ce59cd6f
commit f96c2e6271
2 changed files with 42 additions and 17 deletions
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3
config/bollmaker.yaml
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@ -92,6 +92,9 @@ exchangeStrategies:
window: 21
bandWidth: 2.0
# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
tradeInBand: false
persistence:
type: redis

56
pkg/bbgo/smart_stops.go
View File

@ -39,6 +39,9 @@ type TrailingStopController struct {
position *types.Position
latestHigh float64
averageCost fixedpoint.Value
// activated: when the price reaches the min profit price, we set the activated to true to enable trailing stop
activated bool
}
func NewTrailingStopController(symbol string, config *TrailingStop) *TrailingStopController {
@ -70,27 +73,46 @@ func (c *TrailingStopController) Run(ctx context.Context, session *ExchangeSessi
return
}
// if average cost is zero, we don't need trailing stop
if c.averageCost == 0 || c.position == nil {
return
}
closePrice := kline.Close
// if we don't hold position, we just skip dust position
if c.position.Base.Abs().Float64() < c.position.Market.MinQuantity || c.position.Base.Abs().Float64()*closePrice < c.position.Market.MinNotional {
return
}
if c.MinProfit <= 0 {
// when minProfit is not set, we should always activate the trailing stop order
c.activated = true
} else if closePrice > c.averageCost.Float64() ||
changeRate(closePrice, c.averageCost.Float64()) > c.MinProfit.Float64() {
if !c.activated {
log.Infof("%s trailing stop activated at price %f", c.Symbol, closePrice)
c.activated = true
}
} else {
return
}
if !c.activated {
return
}
// if the trailing stop order is activated, we should update the latest high
// update the latest high
c.latestHigh = math.Max(closePrice, c.latestHigh)
// if it's in the callback rate, we don't want to trigger stop
if closePrice < c.latestHigh && changeRate(closePrice, c.latestHigh) < c.CallbackRate.Float64() {
return
}
if c.Virtual {
// if average cost is updated, we can check min profit
if c.averageCost == 0 {
return
}
// skip dust position
if c.position.Base.Abs().Float64() < c.position.Market.MinQuantity || c.position.Base.Abs().Float64()*closePrice < c.position.Market.MinNotional {
return
}
// if it's in the callback rate, we don't want to trigger stop
if closePrice < c.latestHigh && changeRate(closePrice, c.latestHigh) < c.CallbackRate.Float64() {
return
}
// if the profit rate is defined, and it is less than our minimum profit rate, we skip stop
if c.MinProfit > 0 &&
(closePrice < c.averageCost.Float64() ||
@ -127,11 +149,11 @@ func (c *TrailingStopController) Run(ctx context.Context, session *ExchangeSessi
// reset the state
c.latestHigh = 0.0
c.activated = false
}
} else {
// place stop order only when the closed price is greater than the current average cost
if c.position != nil && c.MinProfit > 0 && c.averageCost > 0 &&
closePrice > c.averageCost.Float64() &&
if c.MinProfit > 0 && closePrice > c.averageCost.Float64() &&
changeRate(closePrice, c.averageCost.Float64()) >= c.MinProfit.Float64() {
stopPrice := c.averageCost.MulFloat64(1.0 + c.MinProfit.Float64())